Stochastic Simulation: Algorithms and Analysis

Soren Asmussen and Peter Glynn were awarded the Outstanding Simulation Publication Award presented by the INFORMS SImulation Society in December 2008.
This book provides a broad treatment of sampling-based computational methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. General methods and model-specific algorithms are discussed.

Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. Given the wide range of examples, exercises and applications students, practitioners and researchers in probability, statistics, operations research, economics, finance, engineering as well as biology and chemistry and physics will find the book of value.

First rigorous and comprehensive advanced book on stochastic simulation Large amount of exercises and illustrations included Top world wide experts in area

Contenu
General Methods and Algorithms.- Generating Random Objects.- Output Analysis.- Steady-State Simulation.- Variance-Reduction Methods.- Rare-Event Simulation.- Derivative Estimation.- Stochastic Optimization.- Algorithms for Special Models.- Numerical Integration.- Stochastic Di3erential Equations.- Gaussian Processes.- Lèvy Processes.- Markov Chain Monte Carlo Methods.- Selected Topics and Extended Examples.- What This Book Is About.- What This Book Is About.